Checkerboard Texture Object
There is no magicaly appearing checker board ;) 

The UV/Image Editor has the feature to load images from disk but also to create new ones. And one of the new image templates is a checkerboard, called UV Test-Grid. Your tutorial guy just had one already created.

Click on Image -> New Image and choose UV Test Grid and it should appear!

To also see it in the viewport choose texture as your view options and assign the newly created uv testgrid texture to your object (in the materials tab of your object)

Since thise is a UV Grid, you should have your object UV unwrapped in order to see it. So if the object stays gray you have to unwrap it first. If the texture then looks screwed up you have to properly uv unwrap your object ;) There are many tutorials out there that show you how this is done.

Create new image:


Choose Generated Type "UV Grid":


Assign the new image as texture of your object:


Make sure youe selected Texture in your 3D View: